Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0053
Annualized Std Dev 0.1713
Annualized Sharpe (Rf=0%) -0.0307

Row

Daily Return Statistics

Close
Observations 4931.0000
NAs 1.0000
Minimum -0.1399
Quartile 1 -0.0036
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0041
Maximum 0.2312
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0108
Skewness 1.3715
Kurtosis 79.8137

Downside Risk

Close
Semi Deviation 0.0077
Gain Deviation 0.0089
Loss Deviation 0.0093
Downside Deviation (MAR=210%) 0.0124
Downside Deviation (Rf=0%) 0.0076
Downside Deviation (0%) 0.0076
Maximum Drawdown 0.5631
Historical VaR (95%) -0.0131
Historical ES (95%) -0.0243
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2007-01-03 2008-10-10 NA -0.5631 3577 446 NA
2001-08-01 2004-05-10 2005-06-22 -0.1717 971 690 281
2006-03-09 2006-06-27 2006-12-29 -0.1204 205 77 128
2005-09-14 2005-11-14 2005-12-23 -0.0708 72 44 28
2006-01-20 2006-01-30 2006-02-10 -0.0311 16 7 9

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA NA -0.9 -0.6 1.3 0 -0.7 0.5 -0.4
2002 0 -0.1 -0.6 1.4 0.6 0.1 0.2 0.3 -1 0.7 0.9 -0.4 2
2003 -0.6 1.1 0.7 0.1 0.3 -0.1 -2 0.2 0.1 0.5 -0.7 0.3 -0.1
2004 0.6 1 -0.6 0.3 0.5 0.6 0.9 -0.1 -0.1 0.4 0.4 1 5.1
2005 -0.1 0.2 0.8 0.3 0.6 0.1 -1.1 0.6 -0.5 0.3 0.5 0.1 1.9
2006 0 1.1 0.4 0.8 0.4 0 1.9 1.4 1.2 -0.4 0.2 2 9.3
2007 0.4 0.3 0.1 0 -0.8 -0.2 0.1 -0.9 0.2 0 -0.1 -0.9 -1.7
2008 -0.2 -1.6 -0.8 0.6 -0.3 0.5 0 -0.2 0.5 0 0.3 1.1 -0.1
2009 -1.3 0 1.7 -0.4 0.7 1.7 -0.4 0.5 1.2 -0.8 0.5 -0.5 3
2010 0 -0.1 1.7 -0.3 0.4 0.5 0 -0.7 -0.1 0.1 -1.5 1.7 1.8
2011 0.1 1.6 1.6 1.3 0.4 0.5 1.8 1.1 -0.4 0.1 -0.4 0.2 8.2
2012 0.6 0.3 0.5 1.1 1.2 0.1 -0.2 0 0 0.3 0 -0.8 3.1
2013 -0.7 0.4 0.3 0.3 -1.2 -0.1 -0.4 0.3 0.1 -1.6 0.1 -0.2 -2.6
2014 0.7 0 -0.5 0.5 -0.1 -0.4 0.4 0.1 0.3 -0.1 0.2 0 1.1
2015 0.7 0.5 0.7 0.4 0.4 0.2 0.3 0.4 -0.1 0.4 0.2 0.8 5.1
2016 0.5 -0.3 0.6 -0.1 1.4 0.4 0.2 -0.1 0.3 0.1 -0.6 0.9 3.3
2017 -0.1 -0.8 0.2 0.5 0.1 1.1 0.5 0.5 -0.5 0 0.1 -0.1 1.5
2018 0.1 -0.2 0.4 0.5 -1.2 -0.4 0.7 -1.1 -0.2 -0.5 -0.1 0.7 -1.4
2019 -0.3 0.2 1.2 0.2 0.7 1 -0.4 0 0.9 0.4 -0.5 -0.4 3
2020 0 -2.7 -3.5 0.2 0.5 -0.2 0.6 0.2 0.3 -0.3 -0.2 0.1 -4.9
2021 0.6 -0.1 0 NA NA NA NA NA NA NA NA NA 0.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-07-27  15.0 SPY    121.  3.80e-3  -0.0044  -0.0055  -0.0395   -0.169       NA       NA <NA>     NA    NA       NA
2 2001-07-30  15.1 SPY    121.  3.00e-4   0.016   -0.0106  -0.0325   -0.150       NA       NA <NA>     NA    NA       NA
3 2001-07-31  15.2 SPY    121.  4.10e-3   0.0301  -0.0102  -0.0449   -0.151       NA       NA <NA>     NA    NA       NA
4 2001-08-01  15.1 SPY    122.  6.30e-3   0.0253  -0.0163  -0.0371   -0.151       NA       NA <NA>     NA    NA       NA
5 2001-08-02  15.0 SPY    123.  4.10e-3   0.0188  -0.012   -0.0208   -0.152       NA       NA <NA>     NA    NA       NA
6 2001-08-03  15.0 SPY    122. -5.50e-3   0.0094   0.0021  -0.0424   -0.162       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart